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Evaluation of Trend-Following Strategies
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Prices up to the close on 2024-05-22.

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LME Aluminium
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Best AHD strategy over the last 5 years: exponential 7 59
Annualized return: 	15.9%
Annualized volatility: 	15.9%
Sharpe Ratio: 		 1.0
Trades/Year: 		6
Long for the last 51 days.
Switches to short after 10 days if price changes by -1.0% per day.
Switches to short after 9 days if price changes by -1.25% per day.
Switches to short after 8 days if price changes by -1.75% per day.
Switches to short after 7 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best AHD strategy over the last 4 years: exponential 7 59

Best AHD strategy over the last 3 years: simple 1 4
Annualized return: 	25.7%
Annualized volatility: 	21.4%
Sharpe Ratio: 		 1.2
Trades/Year: 		71
Short for the last 1 day.
Switches to long after 2 days if price changes by +1.5% per day.
Switches to long after 3 days if price changes by +0.25% per day.
Switches to flat after 3 days if price changes by 0% per day.
Chart:
No description has been provided for this image
Best AHD strategy over the last 2 years: simple 15 234
Annualized return: 	14.4%
Annualized volatility: 	13.1%
Sharpe Ratio: 		 1.1
Trades/Year: 		1
Long for the last 38 days.
Chart:
No description has been provided for this image
Best AHD strategy over the last 1 year: simple 82 91
Annualized return: 	22.7%
Annualized volatility: 	15.5%
Sharpe Ratio: 		 1.5
Trades/Year: 		9
Long for the last 14 days.
Chart:
No description has been provided for this image
Sharpe ratios:
  exponential 7 59 simple 1 4 simple 15 234 simple 82 91
Last 5 years 0.997993 0.876308 0.936116 0.126666
Last 4 years 1.196293 0.898026 0.852120 0.089461
Last 3 years 1.064538 1.198399 0.858406 -0.076003
Last 2 years 0.848062 0.719825 1.103373 0.698811
Last 1 year 0.530594 -0.428234 0.680994 1.459081


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LME Copper
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Best CAD strategy over the last 5 years: simple 32 112
Annualized return: 	20.4%
Annualized volatility: 	19.3%
Sharpe Ratio: 		 1.1
Trades/Year: 		2
Long for the last 113 days.
Chart:
No description has been provided for this image
Best CAD strategy over the last 4 years: simple 32 112

Best CAD strategy over the last 3 years: simple 14 19
Annualized return: 	12.7%
Annualized volatility: 	17.4%
Sharpe Ratio: 		 0.7
Trades/Year: 		23
Long for the last 61 days.
Switches to short after 10 days if price changes by -1.5% per day.
Switches to short after 9 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best CAD strategy over the last 2 years: simple 28 39
Annualized return: 	26.7%
Annualized volatility: 	16.8%
Sharpe Ratio: 		 1.6
Trades/Year: 		9
Long for the last 48 days.
Chart:
No description has been provided for this image
Best CAD strategy over the last 1 year: simple 1 2
Annualized return: 	924.2%
Annualized volatility: 	202.9%
Sharpe Ratio: 		 4.6
Trades/Year: 		137
Short for the last 2 days.
Switches to flat after 1 day if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Sharpe ratios:
  simple 32 112 simple 14 19 simple 28 39 simple 1 2
Last 5 years 1.055722 0.721410 0.699521 0.033561
Last 4 years 1.166685 0.887977 0.887788 0.047257
Last 3 years 0.607685 0.730467 0.324678 0.014668
Last 2 years 1.383733 0.797612 1.596314 0.024931
Last 1 year 0.890967 0.359911 1.264157 4.555963


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LME Lead
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Best PBD strategy over the last 5 years: exponential 1 2
Annualized return: 	12.5%
Annualized volatility: 	16.5%
Sharpe Ratio: 		 0.8
Trades/Year: 		90
Short for the last 1 day.
Switches to long after 2 days if price changes by +0.25% per day.
Chart:
No description has been provided for this image
Best PBD strategy over the last 4 years: exponential 1 2

Best PBD strategy over the last 3 years: exponential 1 2

Best PBD strategy over the last 2 years: simple 59 73
Annualized return: 	31.2%
Annualized volatility: 	22.0%
Sharpe Ratio: 		 1.4
Trades/Year: 		8
Long for the last 11 days.
Chart:
No description has been provided for this image
Best PBD strategy over the last 1 year: simple 59 66
Annualized return: 	60.9%
Annualized volatility: 	17.7%
Sharpe Ratio: 		 3.4
Trades/Year: 		12
Long for the last 14 days.
Chart:
No description has been provided for this image
Sharpe ratios:
  exponential 1 2 simple 59 73 simple 59 66
Last 5 years 0.756725 0.165881 0.025002
Last 4 years 0.995156 0.182414 0.081871
Last 3 years 1.130248 0.480789 0.361442
Last 2 years 0.925445 1.416946 1.247120
Last 1 year 0.763309 2.430198 3.442599


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LME Nickel
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Best NID strategy over the last 5 years: simple 35 48
Annualized return: 	29.6%
Annualized volatility: 	28.7%
Sharpe Ratio: 		 1.0
Trades/Year: 		6
Long for the last 12 days.
Chart:
No description has been provided for this image
Best NID strategy over the last 4 years: simple 35 43
Annualized return: 	29.7%
Annualized volatility: 	33.5%
Sharpe Ratio: 		 0.9
Trades/Year: 		9
Long for the last 11 days.
Chart:
No description has been provided for this image
Best NID strategy over the last 3 years: simple 35 43

Best NID strategy over the last 2 years: simple 60 82
Annualized return: 	41.7%
Annualized volatility: 	26.3%
Sharpe Ratio: 		 1.6
Trades/Year: 		2
Long for the last 44 days.
Chart:
No description has been provided for this image
Best NID strategy over the last 1 year: simple 32 39
Annualized return: 	26.4%
Annualized volatility: 	13.4%
Sharpe Ratio: 		 2.0
Trades/Year: 		8
Long for the last 14 days.
Chart:
No description has been provided for this image
Sharpe ratios:
  simple 35 48 simple 35 43 simple 60 82 simple 32 39
Last 5 years 1.031609 1.030630 0.541752 0.636253
Last 4 years 0.790213 0.886610 0.713002 0.524138
Last 3 years 0.838354 1.040071 0.803031 0.588542
Last 2 years 0.978510 1.430873 1.587239 0.030069
Last 1 year 1.432784 1.368370 1.385706 1.975296


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LME Tin
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Best SND strategy over the last 5 years: simple 26 54
Annualized return: 	32.4%
Annualized volatility: 	15.3%
Sharpe Ratio: 		 2.1
Trades/Year: 		3
Long for the last 101 days.
Chart:
No description has been provided for this image
Best SND strategy over the last 4 years: simple 28 59
Annualized return: 	40.6%
Annualized volatility: 	15.4%
Sharpe Ratio: 		 2.6
Trades/Year: 		3
Long for the last 99 days.
Chart:
No description has been provided for this image
Best SND strategy over the last 3 years: simple 28 59

Best SND strategy over the last 2 years: exponential 2 4
Annualized return: 	41.1%
Annualized volatility: 	18.3%
Sharpe Ratio: 		 2.2
Trades/Year: 		44
Short for the last 1 day.
Switches to long after 2 days if price changes by +1.0% per day.
Switches to long after 3 days if price changes by +0.5% per day.
Switches to long after 4 days if price changes by +0.25% per day.
Chart:
No description has been provided for this image
Best SND strategy over the last 1 year: simple 3 6
Annualized return: 	77.0%
Annualized volatility: 	29.5%
Sharpe Ratio: 		 2.6
Trades/Year: 		40
Long for the last 13 days.
Switches to short after 1 day if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Sharpe ratios:
  simple 26 54 simple 28 59 exponential 2 4 simple 3 6
Last 5 years 2.117957 2.075193 1.171412 0.431476
Last 4 years 2.441261 2.639116 1.400520 0.469039
Last 3 years 1.857912 2.042439 1.271265 0.387729
Last 2 years 1.142205 0.959139 2.246257 0.541183
Last 1 year 1.186805 1.386937 1.684045 2.611430


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LME Zinc
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Best ZSD strategy over the last 5 years: simple 32 91
Annualized return: 	16.0%
Annualized volatility: 	17.5%
Sharpe Ratio: 		 0.9
Trades/Year: 		3
Long for the last 32 days.
Chart:
No description has been provided for this image
Best ZSD strategy over the last 4 years: simple 26 101
Annualized return: 	24.1%
Annualized volatility: 	19.3%
Sharpe Ratio: 		 1.2
Trades/Year: 		2
Long for the last 34 days.
Chart:
No description has been provided for this image
Best ZSD strategy over the last 3 years: simple 3 6
Annualized return: 	32.6%
Annualized volatility: 	23.7%
Sharpe Ratio: 		 1.4
Trades/Year: 		42
Long for the last 8 days.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best ZSD strategy over the last 2 years: simple 2 7
Annualized return: 	64.0%
Annualized volatility: 	23.8%
Sharpe Ratio: 		 2.7
Trades/Year: 		35
Long for the last 9 days.
Switches to short after 3 days if price changes by +0.25% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best ZSD strategy over the last 1 year: simple 39 43
Annualized return: 	38.4%
Annualized volatility: 	18.0%
Sharpe Ratio: 		 2.1
Trades/Year: 		13
Long for the last 37 days.
Chart:
No description has been provided for this image
Sharpe ratios:
  simple 32 91 simple 26 101 simple 3 6 simple 2 7 simple 39 43
Last 5 years 0.913446 0.810166 0.510217 0.226306 0.209191
Last 4 years 1.067739 1.248768 0.787729 0.326980 0.288895
Last 3 years 0.754901 0.996296 1.377838 0.772204 0.531017
Last 2 years 0.563719 0.971048 2.008243 2.687537 0.634721
Last 1 year -0.550368 -0.219485 0.219310 0.748210 2.140686


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COMEX Gold
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Best GC strategy over the last 5 years: simple 3 4
Annualized return: 	16.2%
Annualized volatility: 	16.6%
Sharpe Ratio: 		 1.0
Trades/Year: 		75
Long for the last 5 days.
Switches to short after 1 day if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best GC strategy over the last 4 years: simple 3 4

Best GC strategy over the last 3 years: simple 82 91
Annualized return: 	22.5%
Annualized volatility: 	16.6%
Sharpe Ratio: 		 1.4
Trades/Year: 		5
Long for the last 119 days.
Chart:
No description has been provided for this image
Best GC strategy over the last 2 years: simple 4 8
Annualized return: 	85.2%
Annualized volatility: 	38.3%
Sharpe Ratio: 		 2.2
Trades/Year: 		30
Long for the last 11 days.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best GC strategy over the last 1 year: simple 5 8
Annualized return: 	128.3%
Annualized volatility: 	31.4%
Sharpe Ratio: 		 4.1
Trades/Year: 		27
Long for the last 10 days.
Switches to short after 4 days if price changes by +1.25% per day.
Switches to short after 3 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Sharpe ratios:
  simple 3 4 simple 82 91 simple 4 8 simple 5 8
Last 5 years 0.974599 0.545992 0.046256 0.013155
Last 4 years 1.000496 0.804406 0.326237 0.141243
Last 3 years 1.180300 1.356561 1.155523 0.606724
Last 2 years 1.449347 0.948795 2.222065 2.014086
Last 1 year 3.009863 1.582715 3.441150 4.089885


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COMEX Silver
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Best SI strategy over the last 5 years: simple 2 14
Annualized return: 	21.1%
Annualized volatility: 	29.9%
Sharpe Ratio: 		 0.7
Trades/Year: 		25
Long for the last 12 days.
Switches to short after 10 days if price changes by -0.75% per day.
Switches to short after 9 days if price changes by -1.0% per day.
Switches to short after 8 days if price changes by -1.25% per day.
Switches to short after 7 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best SI strategy over the last 4 years: simple 3 4
Annualized return: 	25.8%
Annualized volatility: 	37.1%
Sharpe Ratio: 		 0.7
Trades/Year: 		81
Long for the last 1 day.
Switches to flat after 3 days if price changes by 0% per day.
Switches to short after 3 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best SI strategy over the last 3 years: simple 125 190
Annualized return: 	73.0%
Annualized volatility: 	54.6%
Sharpe Ratio: 		 1.3
Trades/Year: 		3
Long for the last 30 days.
Chart:
No description has been provided for this image
Best SI strategy over the last 2 years: simple 1 10
Annualized return: 	68.3%
Annualized volatility: 	37.3%
Sharpe Ratio: 		 1.8
Trades/Year: 		39
Long for the last 1 day.
Switches to flat after 9 days if price changes by 0% per day.
Switches to short after 9 days if price changes by -0.25% per day.
Switches to short after 8 days if price changes by -0.5% per day.
Switches to short after 7 days if price changes by -1.0% per day.
Switches to short after 6 days if price changes by -1.75% per day.
Switches to short after 5 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best SI strategy over the last 1 year: simple 21 112
Annualized return: 	16262.0%
Annualized volatility: 	1454.6%
Sharpe Ratio: 		 11.2
Trades/Year: 		6
Long for the last 49 days.
Chart:
No description has been provided for this image
Sharpe ratios:
  simple 2 14 simple 3 4 simple 125 190 simple 1 10 simple 21 112
Last 5 years 0.704520 0.516069 -0.083686 0.211017 -0.151007
Last 4 years 0.663102 0.696552 -0.074739 0.175996 -0.134857
Last 3 years 0.412813 1.035090 1.337167 1.044872 -0.117337
Last 2 years 0.501496 0.703977 0.965944 1.832543 -0.096282
Last 1 year 0.387452 0.949913 0.397400 1.633594 11.179397


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NYMEX Platinum
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Best PA strategy over the last 5 years: simple 15 17
Annualized return: 	11.2%
Annualized volatility: 	20.2%
Sharpe Ratio: 		 0.6
Trades/Year: 		30
Long for the last 9 days.
Switches to short after 10 days if price changes by -1.25% per day.
Switches to short after 9 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best PA strategy over the last 4 years: simple 18 28
Annualized return: 	13.1%
Annualized volatility: 	23.7%
Sharpe Ratio: 		 0.6
Trades/Year: 		11
Long for the last 5 days.
Chart:
No description has been provided for this image
Best PA strategy over the last 3 years: simple 8 9
Annualized return: 	37.0%
Annualized volatility: 	44.8%
Sharpe Ratio: 		 0.8
Trades/Year: 		44
Long for the last 15 days.
Switches to short after 3 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best PA strategy over the last 2 years: simple 3 5
Annualized return: 	340.3%
Annualized volatility: 	137.3%
Sharpe Ratio: 		 2.5
Trades/Year: 		49
Short for the last 1 day.
Switches to long after 3 days if price changes by +0.75% per day.
Switches to long after 4 days if price changes by +0.25% per day.
Switches to flat after 4 days if price changes by 0% per day.
Chart:
No description has been provided for this image
Best PA strategy over the last 1 year: simple 59 66
Annualized return: 	1324.5%
Annualized volatility: 	111.0%
Sharpe Ratio: 		 11.9
Trades/Year: 		14
Long for the last 17 days.
Chart:
No description has been provided for this image
Sharpe ratios:
  simple 15 17 simple 18 28 simple 8 9 simple 3 5 simple 59 66
Last 5 years 0.554739 0.407256 -0.460109 0.018897 -0.008051
Last 4 years 0.240559 0.552628 -0.412441 -0.035915 -0.007188
Last 3 years -0.165494 0.309313 0.825131 0.017710 -0.006248
Last 2 years -0.452074 -0.119595 -0.049276 2.477980 -0.005394
Last 1 year -1.933450 -1.179121 0.674459 5.114653 11.927388


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NYMEX Palladium
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Best PL strategy over the last 5 years: simple 2 4
Annualized return: 	36.5%
Annualized volatility: 	33.5%
Sharpe Ratio: 		 1.1
Trades/Year: 		73
Short for the last 1 day.
Switches to long after 3 days if price changes by +0.25% per day.
Switches to flat after 3 days if price changes by 0% per day.
Chart:
No description has been provided for this image
Best PL strategy over the last 4 years: simple 2 4

Best PL strategy over the last 3 years: exponential 7 39
Annualized return: 	82.3%
Annualized volatility: 	73.3%
Sharpe Ratio: 		 1.1
Trades/Year: 		12
Long for the last 3 days.
Switches to short after 6 days if price changes by -0.25% per day.
Switches to short after 5 days if price changes by -0.5% per day.
Switches to short after 4 days if price changes by -1.0% per day.
Switches to short after 3 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best PL strategy over the last 2 years: simple 12 17
Annualized return: 	135.5%
Annualized volatility: 	59.6%
Sharpe Ratio: 		 2.3
Trades/Year: 		23
Long for the last 4 days.
Switches to short after 10 days if price changes by -0.5% per day.
Switches to short after 9 days if price changes by -1.0% per day.
Switches to short after 8 days if price changes by -1.5% per day.
Switches to short after 7 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best PL strategy over the last 1 year: simple 15 59
Annualized return: 	59010.4%
Annualized volatility: 	6007.8%
Sharpe Ratio: 		 9.8
Trades/Year: 		5
Short for the last 15 days.
Switches to long after 6 days if price changes by +1.5% per day.
Switches to long after 7 days if price changes by +0.75% per day.
Switches to long after 8 days if price changes by +0.5% per day.
Switches to long after 9 days if price changes by +0.25% per day.
Chart:
No description has been provided for this image
Sharpe ratios:
  simple 2 4 exponential 7 39 simple 12 17 simple 15 59
Last 5 years 1.088650 -0.502809 -0.007040 -0.023920
Last 4 years 0.808477 -0.458116 -0.006285 -0.021420
Last 3 years 0.994878 1.122876 -0.005463 -0.003628
Last 2 years 0.149266 1.284836 2.272870 0.006681
Last 1 year -0.127816 0.313070 2.097212 9.822236


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LME Steel Scrap
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Best SCD strategy over the last 5 years: simple 4 9
Annualized return: 	24.7%
Annualized volatility: 	12.6%
Sharpe Ratio: 		 2.0
Trades/Year: 		27
Long for the last 7 days.
Switches to flat after 8 days if price changes by 0% per day.
Switches to short after 4 days if price changes by -0.5% per day.
Switches to short after 3 days if price changes by -1.0% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best SCD strategy over the last 4 years: simple 4 9

Best SCD strategy over the last 3 years: simple 21 23
Annualized return: 	33.1%
Annualized volatility: 	21.9%
Sharpe Ratio: 		 1.5
Trades/Year: 		18
Short for the last 3 days.
Switches to long after 6 days if price changes by +0.5% per day.
Switches to long after 7 days if price changes by -0.25% per day.
Chart:
No description has been provided for this image
Best SCD strategy over the last 2 years: simple 138 211
Annualized return: 	210.7%
Annualized volatility: 	68.2%
Sharpe Ratio: 		 3.1
Trades/Year: 		2
Long for the last 75 days.
Switches to short after 10 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best SCD strategy over the last 1 year: exponential 190 234
Annualized return: 	138.4%
Annualized volatility: 	81.5%
Sharpe Ratio: 		 1.7
Trades/Year: 		1
Short for the last 244 days.
Chart:
No description has been provided for this image
Sharpe ratios:
  simple 4 9 simple 21 23 simple 138 211 exponential 190 234
Last 5 years 1.954508 0.841048 -0.154831 -0.354912
Last 4 years 1.813885 0.774794 -0.138288 -0.448401
Last 3 years 1.279974 1.508541 -0.120027 -0.516586
Last 2 years 0.840208 0.906168 3.090216 -0.585968
Last 1 year 0.183508 -0.995896 0.090992 1.697213


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LME Steel Rebar
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Best SRD strategy over the last 5 years: simple 5 8
Annualized return: 	21.6%
Annualized volatility: 	13.6%
Sharpe Ratio: 		 1.6
Trades/Year: 		34
Short for the last 1 day.
Switches to long after 3 days if price changes by +2.0% per day.
Switches to long after 4 days if price changes by +1.25% per day.
Switches to long after 5 days if price changes by +0.5% per day.
Switches to long after 6 days if price changes by +0.25% per day.
Switches to flat after 7 days if price changes by 0% per day.
Chart:
No description has been provided for this image
Best SRD strategy over the last 4 years: simple 6 7
Annualized return: 	35.8%
Annualized volatility: 	19.0%
Sharpe Ratio: 		 1.9
Trades/Year: 		54
Short for the last 2 days.
Switches to long after 1 day if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best SRD strategy over the last 3 years: simple 23 26
Annualized return: 	29.0%
Annualized volatility: 	15.7%
Sharpe Ratio: 		 1.8
Trades/Year: 		18
Short for the last 2 days.
Switches to long after 7 days if price changes by +1.75% per day.
Switches to long after 8 days if price changes by +1.0% per day.
Switches to long after 9 days if price changes by +0.75% per day.
Switches to long after 10 days if price changes by +0.5% per day.
Chart:
No description has been provided for this image
Best SRD strategy over the last 2 years: simple 3 5
Annualized return: 	100.6%
Annualized volatility: 	53.9%
Sharpe Ratio: 		 1.9
Trades/Year: 		56
Short for the last 1 day.
Switches to long after 3 days if price changes by +0.75% per day.
Switches to long after 4 days if price changes by +0.25% per day.
Switches to flat after 4 days if price changes by 0% per day.
Chart:
No description has been provided for this image
Best SRD strategy over the last 1 year: simple 190 211
Annualized return: 	474.3%
Annualized volatility: 	284.6%
Sharpe Ratio: 		 1.7
Trades/Year: 		3
Short for the last 193 days.
Chart:
No description has been provided for this image
Sharpe ratios:
  simple 5 8 simple 6 7 simple 23 26 simple 3 5 simple 190 211
Last 5 years 1.584139 0.926545 1.429271 0.004047 -0.212431
Last 4 years 1.494890 1.884691 1.723698 0.000224 -0.243549
Last 3 years 1.061073 0.884388 1.845593 0.019029 -0.257333
Last 2 years 1.601396 1.692883 1.671385 1.866845 -0.200744
Last 1 year -0.315824 0.152973 1.041368 0.200346 1.666362


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LME Steel HRC China
-------------------

Best HCD strategy over the last 5 years: exponential 1 3
Annualized return: 	27.3%
Annualized volatility: 	13.2%
Sharpe Ratio: 		 2.1
Trades/Year: 		67
Long for the last 2 days.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
No description has been provided for this image
Best HCD strategy over the last 4 years: simple 2 4
Annualized return: 	55.1%
Annualized volatility: 	21.0%
Sharpe Ratio: 		 2.6
Trades/Year: 		61
Long for the last 4 days.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
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Best HCD strategy over the last 3 years: simple 8 10
Annualized return: 	28.9%
Annualized volatility: 	20.3%
Sharpe Ratio: 		 1.4
Trades/Year: 		34
Short for the last 12 days.
Switches to long after 2 days if price changes by -2.0% per day.
Chart:
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Best HCD strategy over the last 2 years: simple 6 39
Annualized return: 	41.9%
Annualized volatility: 	21.2%
Sharpe Ratio: 		 2.0
Trades/Year: 		8
Short for the last 7 days.
Switches to long after 1 day if price changes by -2.0% per day.
Chart:
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Best HCD strategy over the last 1 year: simple 154 190
Annualized return: 	11.1%
Annualized volatility: 	6.6%
Sharpe Ratio: 		 1.7
Trades/Year: 		2
Short for the last 215 days.
Chart:
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Sharpe ratios:
  exponential 1 3 simple 2 4 simple 8 10 simple 6 39 simple 154 190
Last 5 years 2.066551 1.801211 1.666410 0.547845 1.400056
Last 4 years 2.164332 2.626608 2.004121 0.619603 1.523221
Last 3 years 0.961372 0.853805 1.419055 1.057201 0.588032
Last 2 years 0.441262 0.969727 1.835237 1.976700 1.935567
Last 1 year -1.784094 0.665464 1.125154 0.317519 1.685536


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SGX Iron Ore 62%
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Best FEF strategy over the last 5 years: simple 1 6
Annualized return: 	43.9%
Annualized volatility: 	19.4%
Sharpe Ratio: 		 2.3
Trades/Year: 		51
Long for the last 5 days.
Switches to flat after 5 days if price changes by 0% per day.
Switches to short after 3 days if price changes by -0.75% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
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Best FEF strategy over the last 4 years: simple 1 6

Best FEF strategy over the last 3 years: simple 6 43
Annualized return: 	49.8%
Annualized volatility: 	27.1%
Sharpe Ratio: 		 1.8
Trades/Year: 		5
Long for the last 27 days.
Switches to short after 10 days if price changes by -0.5% per day.
Switches to short after 8 days if price changes by -1.0% per day.
Switches to short after 7 days if price changes by -1.5% per day.
Switches to short after 6 days if price changes by -2.0% per day.
Chart:
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Best FEF strategy over the last 2 years: simple 2 3
Annualized return: 	26.2%
Annualized volatility: 	11.4%
Sharpe Ratio: 		 2.3
Trades/Year: 		89
Long for the last 5 days.
Switches to flat after 2 days if price changes by 0% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
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Best FEF strategy over the last 1 year: exponential 101 190
Annualized return: 	934.7%
Annualized volatility: 	143.2%
Sharpe Ratio: 		 6.5
Trades/Year: 		0
Long for the last 340 days.
Chart:
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Sharpe ratios:
  simple 1 6 simple 6 43 simple 2 3 exponential 101 190
Last 5 years 2.257877 0.730808 1.607477 -0.098432
Last 4 years 2.557131 1.886811 1.586694 -0.063041
Last 3 years 1.690073 1.836705 1.309704 -0.267247
Last 2 years 1.162469 0.860032 2.294529 0.031547
Last 1 year 1.042477 0.779347 1.460113 6.527632


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SGX Iron Ore Lump Premium
-------------------------

Best LPF strategy over the last 5 years: exponential 1 6
Annualized return: 	57.4%
Annualized volatility: 	21.3%
Sharpe Ratio: 		 2.7
Trades/Year: 		25
Long for the last 28 days.
Switches to short after 4 days if price changes by -0.25% per day.
Switches to short after 3 days if price changes by -0.75% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
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Best LPF strategy over the last 4 years: exponential 1 2
Annualized return: 	56.4%
Annualized volatility: 	15.2%
Sharpe Ratio: 		 3.7
Trades/Year: 		39
Long for the last 30 days.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
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Best LPF strategy over the last 3 years: exponential 1 2

Best LPF strategy over the last 2 years: simple 60 211
Annualized return: 	605.2%
Annualized volatility: 	127.7%
Sharpe Ratio: 		 4.7
Trades/Year: 		2
Short for the last 51 days.
Chart:
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Best LPF strategy over the last 1 year: exponential 1 4
Annualized return: 	13.4%
Annualized volatility: 	3.0%
Sharpe Ratio: 		 4.4
Trades/Year: 		24
Long for the last 30 days.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
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Sharpe ratios:
  exponential 1 6 exponential 1 2 simple 60 211 exponential 1 4
Last 5 years 2.688463 2.155955 -0.196439 1.833984
Last 4 years 3.343308 3.709576 -0.175977 3.102055
Last 3 years 3.294345 3.575205 -0.153932 3.044558
Last 2 years 2.909589 4.602232 4.739080 3.301814
Last 1 year 3.580820 4.224830 0.840439 4.443960


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SGX Iron Ore 65%
----------------

Best M65F strategy over the last 5 years: simple 1 7
Annualized return: 	45.5%
Annualized volatility: 	20.7%
Sharpe Ratio: 		 2.2
Trades/Year: 		47
Long for the last 5 days.
Switches to flat after 6 days if price changes by 0% per day.
Switches to short after 4 days if price changes by -0.25% per day.
Switches to short after 3 days if price changes by -1.0% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
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Best M65F strategy over the last 4 years: simple 1 7

Best M65F strategy over the last 3 years: simple 1 7

Best M65F strategy over the last 2 years: simple 2 3
Annualized return: 	27.7%
Annualized volatility: 	11.6%
Sharpe Ratio: 		 2.4
Trades/Year: 		89
Long for the last 5 days.
Switches to flat after 2 days if price changes by 0% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:
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Best M65F strategy over the last 1 year: simple 91 234
Annualized return: 	4006.5%
Annualized volatility: 	609.3%
Sharpe Ratio: 		 6.6
Trades/Year: 		2
Long for the last 188 days.
Switches to short after 10 days if price changes by +0.75% per day.
Switches to short after 9 days if price changes by +0.5% per day.
Switches to short after 8 days if price changes by 0% per day.
Switches to short after 7 days if price changes by -1.0% per day.
Switches to short after 6 days if price changes by -2.0% per day.
Chart:
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Sharpe ratios:
  simple 1 7 simple 2 3 simple 91 234
Last 5 years 2.197662 1.460847 -0.076433
Last 4 years 2.641056 1.659705 -0.080968
Last 3 years 1.870230 1.549832 -0.128819
Last 2 years 1.590054 2.395017 -0.077136
Last 1 year 1.139514 2.071020 6.576157